Fed Funds Variation

Effective Federal Funds Rate Variation Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlements of the Effective Federal Funds Rate Variation Futures (FFV) are determined by CME Group staff based on trading activity on CME Globex.

Tier 1: If a trade(s) occurs on CME Globex between 13:59:00 and 14:00:00 Central Time (CT), the settlement period, then the contract settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

Tier 2: If no trades occur on CME Globex between 13:59:00 and 14:00:00 CT, then the most recent trade (or prior settle in the absence of a last trade) price is used.

The contract settles to the last trade/prior settlement provided that it is not outside of the CME Globex bid or ask in the settlement period. If that price is outside of the CME Globex market the price will be adjusted accordingly.

Fed Fund Final Settlement Methodology

Final Settlement Procedures please see rulebook chapter 495

If you have any questions, please call the CME Global Command Center.

Note: In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.